An investment is started with a Macaulay duration of 12.5 at an annual effective yield of 5%. Immediately after the investment is purchased, market yield increases to 6%. Approximate the percent price change for this investment using the first-order Macaulay method. 12.579% -11.173% -11.905% 11.905% -12.579% A company owes 800 and 600 to be paid at the end of year one and year three, respectively. The company will set up an investment program to match the duration and the present value of the above obligation using an annual effective interest rate of 5%. The investment program produces asset cash flows of X today and Y in four years. Calculate X. 736.05 701.00 704.03 725.62 761.90 You are given the following prices for a zero coupon bond that matures for 1 on the maturity date: Maturity (years) Price 0.900 0.800 0.700 0.600 0.500 Calculate the swap rate for a four year nondeferred swap with annual settlement and level notional amount. 15.385% 13.333% 12.500% 16.667% 14.286%